By quickly scanning through some of the comments on the GitHub page, it looks like the following things are being sent:
• "Report Get-Help requests, how many results are returned, and how long it took.”
• “Report when Get-Command fails to find something.”
• “Report that a module was loaded, but only do so for modules that *might* be authored by Microsoft.”
• “Report that a new local session (runspace) is created”
• “Report that a new remote session (runspace) is created”
• “Report some telemetry about the scripts that are run”

Is there a way or are there plans to opt-out of any of this Telemetry? I understand this information could be quite useful to further the development of PowerShell but it would be nice to have some sort of control of what is being sent.

Please bear in mind that the /PowerShell repo on GitHub is owned by Microsoft. PowerShell.org, on the other hand, is a community nonprofit effort – we aren't owned by Microsoft, and can't comment on Microsoft's properties or intentions.